Results 51 to 60 of about 2,047 (236)
Arbitrage-free pricing of CVA for cross-currency swap with wrong-way risk under stochastic correlation modeling framework [PDF]
, 2021 Ashish Kumar +2 more
openalex +1 more source
When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro +2 more
wiley +1 more source
Borsa Istanbul Review, 2019 This paper studies the dynamics of the impact of currency fluctuation on Indian stock market by assessing the pricing of exchange rate risk during the period 2005–2016, specifically before and after financial crises.
Smita Mahapatra, Saumitra N. Bhaduri
doaj +1 more source
The Case of Fleeting Orders and Flickering Quotes
Journal of Futures Markets, EarlyView.ABSTRACT The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with
Markus Ulze +2 more
wiley +1 more source
An Analysis of the Impact of Selected Factors on the Bond Market
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums.
Blanka Francová
doaj +1 more source
Expectations and Speculation in the US Natural Gas Market
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper aims to assess the role of expectations as a determinant of the real price of natural gas in the US. Three specifications of a structural VAR (SVAR) model are estimated to identify an expectations‐driven speculative demand shock. The first includes natural gas inventories, consistently with the theory of storage; the second the risk‐
Christina Anderl +1 more
wiley +1 more source
ESG Performance and Credit Risk: Evidence From Chinese Manufacturing Companies
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the effect of corporate environmental, social, and governance (ESG) performance on credit risk using a sample of manufacturing firms listed on China's Shanghai and Shenzhen A‐share markets from 2009 to 2021. Employing fixed effects, the generalised method of moments, and instrumental variable models, we find that ...
Yanan Wang +4 more
wiley +1 more source
European Option Pricing with Transaction Costs in Lévy Jump Environment
Abstract and Applied Analysis, 2014 The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the ...
Jiayin Li, Huisheng Shu, Xiu Kan
doaj +1 more source
Battery energy management strategies for UK firm frequency response services and energy arbitrage
The Journal of Engineering, 2019 Due to the increasing renewable penetration, there is potential for larger and faster grid frequency fluctuations increasing the risk of system instability.
Burcu Gundogdu +3 more
doaj +1 more source
Systematic Risk of Cdos and Cdo Arbitrage [PDF]
SSRN Electronic Journal, 2009 "Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of Collateralized Debt Obligations (CDOs) in some detail.
Hamerle, Alfred +2 more
openaire +2 more sources